Microstructure in JGB markets and market efficiency
| Project/Area Number |
19530269
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
KAMAE Hiroshi Hitotsubashi University, 経済学部, 教授 (60091542)
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| Co-Investigator(Kenkyū-buntansha) |
MINAKI Takeo 北星学園大学, 経済学部, 専任講師 (70438349)
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| Project Period (FY) |
2007 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000)
Fiscal Year 2009: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000)
Fiscal Year 2008: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2007: ¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
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| Keywords | 市場の効率性 / 国債先物市場 / ボラティリティ / 引受シンジケート / GARCHモデル / 国債発行市場 / 国債流通市場 / EGARCHモデル / ティック・データ / 国債市場の効率性 / 日本国債先物取引 / ビッド・アスク・スプレッド / 純粋期待仮説 / 甲号5分利公債 / 第1回4分利公債 / 引受シ団の形成 |
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| Research Abstract |
Testing market efficiency through volatility by tick data showed that trading volume and spread affected JGB futures prices、High volatility continued for several minutes and low volatility also continued for a while。These shows market inefficiency in JGB futures markets。
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Report
(4 results)
Research Products
(17 results)
